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Filipović, Damir - 2012

This paper provides a brief overview of the stochastic modeling of variance swap curves. Focus is on affine factor … any pre-speci fied points on the variance swap curve. This should facilitate the empirical estimation for such stochastic … contrast to variance swap models, their yield factor representation requires imposing constraints on systems of nonlinear …

Persistent link: https://www.econbiz.de/10009558387

Empirical Asset Pricing via Ensemble Gaussian Process Regression

Filipović, Damir; Pasricha, Puneet - 2022

We introduce an ensemble learning method based on Gaussian Process Regression (GPR) for predicting conditional expected stock returns given stock-level and macro-economic information. Our ensemble learning approach significantly reduces the computational complexity inherent in GPR inference and...

Persistent link: https://www.econbiz.de/10014236083

Structured debt ratings : evidence on conflicts of interest

Efing, Matthias; Hau, Harald - 2013

We test if issuers of asset- and mortgage-backed securities receive rating favors from agencies with which they maintain strong business relationships. Controlling for issuer fixed effects and a large set of credit risk determinants, we show that agencies publish better ratings for those issuers...

Persistent link: https://www.econbiz.de/10009750621

Constructing long/short portfolios with the Omega ratio

Gilli, Manfred; Schumann, Enrico; Di Tollo, Giacomo; … - 2008

We construct portfolios with an alternative selection criterion, the Omega function, which can be expressed as the ratio of two partial moments of the returns distribution. Finding Omega-optimal portfolios, in particular under realistic constraints like cardinality restrictions, requires to...

Persistent link: https://www.econbiz.de/10003966094

An empirical analysis of alternative portfolio selection criteria

Gilli, Manfred; Schumann, Enrico - 2009

In modern portfolio theory, financial portfolios are characterised by a desired property, the 'reward', and something undesirable, the 'risk'. While these properties are commonly identified with mean and variance of returns, respectively, we test alternative specifications like partial and...

Persistent link: https://www.econbiz.de/10003967051

Replicating hedge fund indices with optimization heuristics

Gilli, Manfred; Schumann, Enrico; Cabej, Gerda; Lula, Jonela - 2010

Hedge funds offer desirable risk-return profiles; but we also find high management fees, lack of transparency and worse, very limited liquidity (they are often closed to new investors and disinvestment fees can be prohibitive). This creates an incentive to replicate the attractive features of...

Persistent link: https://www.econbiz.de/10003979515

Optimal investment and premium policies under risk shifting and solvency regulation

Filipović, Damir; Kremslehner, Robert; Muermann, Alexander - 2011

Limited liability creates a conflict of interests between policyholders and shareholders of insurance companies. It provides shareholders with incentives to increase the risk of the insurer's assets and liabilities which, in turn, might reduce the value policyholders attach to and premiums they...

Persistent link: https://www.econbiz.de/10009009505

Asset allocation and monetary policy : evidence from the eurozone

Hau, Harald; Lai, Sandy - 2013

The eurozone has a single short-term nominal interest rate, but monetary policy conditions measured by either real short-term interest rates or Taylor rule residuals varied substantially across countries in the period from 2003-2010. We use this cross-country variation in the (local) tightness...

Persistent link: https://www.econbiz.de/10010256407

On dynamic hedging of single-tranche collateralized debt obligations

Eksi, Zehra; Filipović, Damir - 2013

a dynamically rebalanced portfolio on the underlying index swap. We analyze the actual performance of the variance …

Persistent link: https://www.econbiz.de/10009750624

Using economic and financial information for stock selection

Roko, Ilir (contributor); Gilli, Manfred (contributor) - 2006

A major inconvenience of the traditional approach in portfolio choice, based upon historical information, is its inability to anticipate sudden changes of price tendencies. Introducing information about future behavior of the assets fundamentals may help to make more appropiate choices. However...

Persistent link: https://www.econbiz.de/10003394276